No sound after export blender game in .exe? How to export with sound?
Blender does not bake any audio into the executable, it just stores the path to the files. 

To ship the game with audio, put the audio files into the same folder as your .blend file (or a subfolder) before you load them into your game and when you open them in Blender make sure that 'Relative Path' is checked.
After exporting the game, just copy all audio files to the folder of the .exe (or a subfolder).